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作者：Li, Yizhang; Sokolinski, Stanislav; Tamoni, Andrea
作者单位：Michigan State University; Michigan State University's Broad College of Business; University of Notre Dame
摘要：We decompose variation in anomaly returns across investor types and trading motives, linking returns to holdings within a demand system. Fundamental-based trading is the primary driver of anomalies, and both this channel and non-fundamental trading are driven disproportionately by small investors. Institution-led channels - flows and industry tilts - are secondary and concentrated in specific anomalies. These patterns favor theories with heterogeneous investors and distinct trading behaviors o...
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作者：Evans, Richard B.; Moussawi, Rabih; Pagano, Michael S.; Sedunov, John
作者单位：University of Virginia; Villanova University
摘要：ETF market makers can satisfy excess demand in secondary markets by selling shares that are not yet created. While this ability to operationally short is not unique to ETFs, it plays a central role in ETF liquidity provision. We propose and validate a novel operational shorting measure. In addition to constituting a majority of ETF short interest, it is associated with higher retail trading activity and short-term return reversals, consistent with liquidity-supplying motives. Accounting for op...
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作者：Lee, Robin Y.
作者单位：University of Alberta
摘要：This paper examines the causal role of face-to-face (F2F) interactions in generating local informational advantages for mutual fund managers. Using COVID-19 lockdowns as an exogenous shock, I show that fund managers' performance on local stocks declined relative to distant stocks when in-person meetings were curtailed, driven by impaired investment timing rather than changes in firm fundamentals. I investigate two distinct benefits of F2F interactions arising from interpersonal cues: trust-bui...
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作者：Chang, Jeffery (Jinfan); Du, Huancheng; Lou, Dong; Polk, Christopher
作者单位：The Chinese University of Hong Kong, Shenzhen; Central University of Finance & Economics; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
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作者：D'Acunto, Francesco; Ghosh, Pulak; Rossi, Alberto G.
作者单位：Georgetown University; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore
摘要：We study the nature and effects of cultural biases in choice under risk and uncertainty by comparing peer-to-peer loans the same individuals (lenders) make alone and after observing robo-advised suggestions. When unassisted, lenders are more likely to choose co-ethnic borrowers, facing 8% higher defaults and 7.3pp lower returns. Robo-advising does not affect diversification but reduces lending to high-risk co-ethnic borrowers. Lenders in locations with high inter-ethnic animus drive the result...
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作者：Miller, Shane; Yimfor, Emmanuel; Zhang, Ye
作者单位：University of Michigan System; University of Michigan; Columbia University
摘要：Institutional and individual investors evaluate private market opportunities systematically differently, even facing identical choices. In a survey experiment, 593 institutional and 445 individual investors assess venture capital fund profiles with independently randomized GP characteristics. Institutions heavily weight past fund performance, consistent with risk-averse investor demand calibrated to VC markets. Individuals largely ignore performance, favoring educational credentials instead. A...
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作者：van Binsbergen, Jules H.
作者单位：University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Using a panel of international government bond data, I construct fixed income portfolios that match the duration of the dividend strips of the local aggregate stock market index. I find that these bond portfolios have similar realized return performance as their stock counterparts while also exhibiting similar or higher levels of volatility. These results provide novel insights regarding the equity risk premium and excess volatility puzzles (bubbles) and their measurement. I present several po...
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作者：Sarto, Andres; Wang, Olivier
摘要：Over the past two decades, shadow banks have significantly expanded their share of residential mortgage lending, even surpassing pre-financial crisis levels. This surge is often attributed to post-crisis regulatory changes and improvements in shadow banks' technology. In this paper, we document a new driving force: the persistent decline in interest rates. When interest rates are high, cheap deposit funding provides banks with a significant competitive advantage against shadow banks relying on...
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作者：van der Beck, Philippe
作者单位：Harvard University
摘要：This paper quantifies how investors' portfolio demand responds to price changes at long horizons versus short horizons. Using investor trades-changes in portfolios-at different horizons, I first present reduced-form evidence that elasticities increase significantly over time. I then propose a dynamic demand system via a parsimonious partial-adjustment model that recovers the full term structure of elasticities while mitigating long-horizon identification challenges. The estimates imply that pr...
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作者：Galvez, Julio; Paz-Pardo, Gonzalo
作者单位：CUNEF Universidad; European Central Bank
摘要：Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited stock market participation and the low risky asset holdings of households. Because people are subject to more background risk than previously considered, the estimated model implies a substantially lower coefficient of risk...
